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A simple additivity test for conditionally heteroscedastic nonlinear autoregression

Listed author(s):
  • Levine, Michael
  • Li, Jinguang (Tony)
Registered author(s):

    In this article, we propose a test for the additivity of a nonlinear conditionally heteroscedastic autoregressive model. The test is based on the unequal variance unbalanced design ANOVA scheme. An asymptotic distribution of the test statistic is derived and the test performance in finite samples is studied using simulation. To the best of our knowledge, this is the first additivity test for a conditionally heteroscedastic time series model.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0167947312000394
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 56 (2012)
    Issue (Month): 8 ()
    Pages: 2421-2429

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    Handle: RePEc:eee:csdana:v:56:y:2012:i:8:p:2421-2429
    DOI: 10.1016/j.csda.2012.01.019
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Sperlich, Stefan & Tj stheim, Dag & Yang, Lijian, 2002. "Nonparametric Estimation And Testing Of Interaction In Additive Models," Econometric Theory, Cambridge University Press, vol. 18(02), pages 197-251, April.
    2. K. S. Chan, 2003. "Bürmann expansion and test for additivity," Biometrika, Biometrika Trust, vol. 90(1), pages 209-222, March.
    3. Markku Lanne & Pentti Saikkonen, 2005. "Non-linear GARCH models for highly persistent volatility," Econometrics Journal, Royal Economic Society, vol. 8(2), pages 251-276, 07.
    4. Lu, Zudi & Jiang, Zhenyu, 2001. "L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 121-130, January.
    5. Li, C W & Li, W K, 1996. "On a Double-Threshold Autoregressive Heteroscedastic Time Series Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 253-274, May-June.
    6. Hwang, S. Y. & Woo, Mi-Ja, 2001. "Threshold ARCH(1) processes: asymptotic inference," Statistics & Probability Letters, Elsevier, vol. 53(1), pages 11-20, May.
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